It depends on what kind of files you are talking about and and how you are downloading them.
If you are referring to Apps, then first you would have to turn the SD card into "Internal" storage versus the standard "External" storage it comes as and this can only be done if the manufacturer hasn't blocked the option on the phone.
If you are referring to other things, images, sounds, etc., then it would depend on the app you are using for the downloading. If you are going through Google Play Store, then usually you can't download direct to the SD card (unless you have made the change I mentioned first). Other apps ability to download to the card (browser, etc.,) would be changed in the individual apps settings.
How to turn external SD...